Quantile coherency : a general measure for dependence between cyclical economic variables
Jozef Baruník and Tobias Kley
| Year of publication: |
2019
|
|---|---|
| Authors: | Baruník, Jozef ; Kley, Tobias |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-423X, ZDB-ID 1475536-1. - Vol. 22.2019, 2, p. 131-152
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| Subject: | Cross-spectral analysis | ranks | copula | stock market | risk | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis | Aktienmarkt | Stock market | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Börsenkurs | Share price | Ranking-Verfahren | Ranking method | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/ectj/utz002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012166706